Since starting the protected Twitter feed back in July, and once again calling my trades in 'real time', the markets have given us a choppy uptrend, which looked like it may take off, followed by another bout of choppiness (and the resulting loss of open profits), before the general market trend reversed to short in the last week or so. Indeed, the FTSE has moved up less than 1% over the last three months.
Since starting the feed, up to yesterday's close the basic results are as follows:
Win rate 51%
Loss rate 49%
Average win 1.61R
Average Loss -0.78R
Expectancy per trade 0.47R
This basically means that for every trade placed, I should make just under half what I risk.
Calculating the average holding period based on each trade placed, I can therefore extrapolate and work out the annualised return based on these metrics.
The annualised return based on the trade log as shown in detail here was again based on my exact trades in the period September 2010 to August 2011, which again were called in 'real-time' on Twitter, and for that period showed an annualised return of +367.05%.
The performance numbers are comparable with those achieved in the 2010-11 period mentioned above. In that period there was a slightly lower win rate (49%), and an overall expectancy per trade figure of 0.53R. This period however included several months where there was a smooth uptrend in the market, in which the win percentage was as high as 70%. The current performance also shows that the average holding period is slightly shorter as stops are being triggered slightly earlier, reflecting the choppiness of the markets. In overall terms through, the performance over these two periods, covering different market trends and volatility, shows that the system, if applied diligently, is robust.
Of course, there are periods of drawdowns, usually around the time when the market reverses trend, and is to be expected. Therefore the performance of the system in the first instance is dependent upon the timing of when you start to apply the rules.
By using the same risk parameters, the current performance based on trades called since mid-July 2012 shows that the annualised return comes out at +454%. Even if you remained invested up to only 50% of your position limits throughout the the year, based on the performance figures acheived to date that still produces an annualised return of +142%.Given the market conditions we have had, that's not too bad a result.
And we haven't had a decent meaningful trend in the market as yet...
Remember that access to the protected Twitter feed is restricted to those who undertake the 1-2-1 training or join the mentoring programme.